#Import the icepython library
#Make sure to read our quick start guide! Additional support can be reached by contacting [email protected]
import icepython as ice
#Sample Time and Sales for Trades and Conditions with Index
import pandas as pd
data = ice.get_timesales('HNG 1!-IUS',['Price','Conditions','Size'],100000,'2021-4-07')
df = pd.DataFrame(list(data))
print(df)
#Sample Time and Sales for Bids and Asks with Start date/End Date
import pandas as pd
data = ice.get_timesales('HNG 1!-IUS',['Bid','Ask'],'2021-05-01','2021-05-10')
df = pd.DataFrame(list(data))
print(df)
#Sample Time and Sales with multiple securities (full forward Curve)
import pandas as pd
symbols = ice.get_autolist('*HNG-IUS')
data = ice.get_timesales(symbols,['Price','Conditions','Size'],'2021-05-08','2021-05-10')
df = pd.DataFrame(list(data))
print(df)
0 1 2 \
0 Time HNG 1!-IUS.PRICE HNG 1!-IUS.CONDITIONS
1 2021-05-09T16:50:00 2.952 SetByBid
2 2021-05-09T16:50:11 2.952 SetByBid
3 2021-05-09T16:59:31 2.958 SetByBid
4 2021-05-09T16:59:32 2.958 SetByBid
5 2021-05-09T16:59:41 2.958 SetByBid
6 2021-05-09T16:59:50 2.958 SetByBid
7 2021-05-09T17:00:00 2.96 SetByBid
8 2021-05-09T17:00:00 2.96 SetByBid
9 2021-05-09T17:00:00 2.96 SetByBid
10 2021-05-09T17:00:00 2.96 SetByBid
11 2021-05-09T17:00:00 2.96 SetByBid
12 2021-05-09T17:00:00 2.96 SetByBid
13 2021-05-09T17:00:00 2.96 SetByBid
14 2021-05-09T17:00:00 2.96 SetByBid
15 2021-05-09T17:00:00 2.96 SetByBid
16 2021-05-09T17:00:48 2.958 SetByBid
17 2021-05-09T17:00:48 None
18 2021-05-09T17:00:48 None
19 2021-05-09T17:00:55 2.958 SetByBid
20 2021-05-09T17:00:55 2.958 SetByBid
21 2021-05-09T17:06:58 2.958 SetByBid
22 2021-05-09T17:07:03 2.96 SetByBid
23 2021-05-09T17:13:03 None
24 2021-05-09T17:35:15 2.955 SetByBid
25 2021-05-09T18:04:00 2.955 SetByAsk
26 2021-05-09T18:24:00 2.953 SetByBid
27 2021-05-09T19:09:44 2.951 SetByAsk
28 2021-05-09T19:09:44 2.951 SetByAsk
29 2021-05-09T20:09:07 None
30 2021-05-09T20:09:07 None
31 2021-05-09T21:03:34 2.954 SetByAsk
32 2021-05-09T21:03:34 2.954 SetByAsk
33 2021-05-09T21:03:34 2.953 SetByAsk
34 2021-05-09T21:03:34 2.953 SetByAsk
35 2021-05-09T21:23:12 2.955 SetByAsk
36 2021-05-09T21:33:51 None
37 2021-05-09T22:33:02 None
38 2021-05-09T22:33:19 2.96 SetByBid
3 4 5 6 \
0 HNG 1!-IUS.SIZE HNG 2!-IUS.PRICE HNG 2!-IUS.CONDITIONS HNG 2!-IUS.SIZE
1 2500 None None
2 2500 None None
3 2500 None None
4 2500 None None
5 2500 None None
6 2500 None None
7 2500 None None
8 2500 None None
9 2500 None None
10 2500 None None
11 2500 None None
12 2500 None None
13 2500 None None
14 2500 None None
15 2500 None None
16 2500 None None
17 None None None
18 None 2.997 Leg 2500
19 2500 None None
20 2500 None None
21 2500 None None
22 2500 None None
23 None 2.999 Leg 2500
24 2500 None None
25 2500 None None
26 2500 None None
27 2500 None None
28 2500 None None
29 None None None
30 None None None
31 2500 None None
32 2500 None None
33 2500 None None
34 2500 None None
35 2500 None None
36 None None None
37 None None None
38 5000 None None
7 8 9 \
0 HNG 3!-IUS.PRICE HNG 3!-IUS.CONDITIONS HNG 3!-IUS.SIZE
1 None None
2 None None
3 None None
4 None None
5 None None
6 None None
7 None None
8 None None
9 None None
10 None None
11 None None
12 None None
13 None None
14 None None
15 None None
16 None None
17 3.005 Leg 2500
18 None None
19 None None
20 None None
21 None None
22 None None
23 3.007 Leg 2500
24 None None
25 None None
26 None None
27 None None
28 None None
29 None None
30 None None
31 None None
32 None None
33 None None
34 None None
35 None None
36 3.005 SetByBid 2500
37 None None
38 None None
... 480 481 \
0 ... HNG 160!-IUS.SIZE HNG 161!-IUS.PRICE
1 ... None None
2 ... None None
3 ... None None
4 ... None None
5 ... None None
6 ... None None
7 ... None None
8 ... None None
9 ... None None
10 ... None None
11 ... None None
12 ... None None
13 ... None None
14 ... None None
15 ... None None
16 ... None None
17 ... None None
18 ... None None
19 ... None None
20 ... None None
21 ... None None
22 ... None None
23 ... None None
24 ... None None
25 ... None None
26 ... None None
27 ... None None
28 ... None None
29 ... None None
30 ... None None
31 ... None None
32 ... None None
33 ... None None
34 ... None None
35 ... None None
36 ... None None
37 ... None None
38 ... None None
482 483 484 \
0 HNG 161!-IUS.CONDITIONS HNG 161!-IUS.SIZE HNG 162!-IUS.PRICE
1 None None
2 None None
3 None None
4 None None
5 None None
6 None None
7 None None
8 None None
9 None None
10 None None
11 None None
12 None None
13 None None
14 None None
15 None None
16 None None
17 None None
18 None None
19 None None
20 None None
21 None None
22 None None
23 None None
24 None None
25 None None
26 None None
27 None None
28 None None
29 None None
30 None None
31 None None
32 None None
33 None None
34 None None
35 None None
36 None None
37 None None
38 None None
485 486 487 \
0 HNG 162!-IUS.CONDITIONS HNG 162!-IUS.SIZE HNG 163!-IUS.PRICE
1 None None
2 None None
3 None None
4 None None
5 None None
6 None None
7 None None
8 None None
9 None None
10 None None
11 None None
12 None None
13 None None
14 None None
15 None None
16 None None
17 None None
18 None None
19 None None
20 None None
21 None None
22 None None
23 None None
24 None None
25 None None
26 None None
27 None None
28 None None
29 None None
30 None None
31 None None
32 None None
33 None None
34 None None
35 None None
36 None None
37 None None
38 None None
488 489
0 HNG 163!-IUS.CONDITIONS HNG 163!-IUS.SIZE
1 None
2 None
3 None
4 None
5 None
6 None
7 None
8 None
9 None
10 None
11 None
12 None
13 None
14 None
15 None
16 None
17 None
18 None
19 None
20 None
21 None
22 None
23 None
24 None
25 None
26 None
27 None
28 None
29 None
30 None
31 None
32 None
33 None
34 None
35 None
36 None
37 None
38 None
[39 rows x 490 columns]
#Sample Time and Sales filtered with only Blocks
import pandas as pd
symbols = ice.get_autolist('BRN 21Z-ICE')
data = ice.get_timesales(symbols,['Price','Conditions','Size'],'2021-07-08','2021-07-10', filter ='Blocks')
df = pd.DataFrame(list(data))
print(df)
#Other filter options:
# filter = 'trades'
# filter = 'quotes'
# filter = 'asks'
# filter = 'bids'
0 1 2 \
0 Time BRN 21Z-ICE.PRICE BRN 21Z-ICE.CONDITIONS
1 2021-07-08T03:14:26 70.57 BlockTrde, Leg
2 2021-07-08T03:14:35 70.45 BlockTrde, Leg
3 2021-07-08T03:15:18 70.45 BlockTrde, Leg
4 2021-07-08T03:19:18 70.45 BlockTrde, Leg
.. ... ... ...
79 2021-07-09T12:55:13 73.15 BlockTrde, Leg
80 2021-07-09T13:35:25 73.08 BlockTrde
81 2021-07-09T13:45:16 73.15 BlockTrde, Leg
82 2021-07-09T13:46:29 73.15 BlockTrde, Leg
83 2021-07-09T14:06:35 73 BlockTrde
3
0 BRN 21Z-ICE.SIZE
1 25
2 8
3 8
4 12
.. ...
79 16
80 100
81 32
82 16
83 80
[84 rows x 4 columns]